Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0415
Annualized Std Dev 0.1572
Annualized Sharpe (Rf=0%) 0.2641

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0940
Quartile 1 -0.0046
Median 0.0004
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0052
Maximum 0.0851
SE Mean 0.0001
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0005
Variance 0.0001
Stdev 0.0099
Skewness -0.0326
Kurtosis 7.9924

Downside Risk

Close
Semi Deviation 0.0071
Gain Deviation 0.0070
Loss Deviation 0.0074
Downside Deviation (MAR=210%) 0.0122
Downside Deviation (Rf=0%) 0.0070
Downside Deviation (0%) 0.0070
Maximum Drawdown 0.3781
Historical VaR (95%) -0.0152
Historical ES (95%) -0.0232
Modified VaR (95%) -0.0146
Modified ES (95%) -0.0219
From Trough To Depth Length To Trough Recovery
2000-12-29 2003-03-10 2007-11-28 -0.3781 1737 547 1190
2007-12-11 2009-03-09 2010-12-16 -0.3418 761 312 449
1999-03-19 2000-03-07 2000-11-28 -0.3266 430 245 185
2020-02-18 2020-03-23 2020-08-24 -0.2494 132 25 107
2018-01-29 2018-12-24 2019-06-11 -0.1700 344 229 115

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.4 -0.5 0.2 -1.3 0.4 0.7 -0.6 -0.4 1.6 0.2 -0.4 0.1 -0.4
2000 -1 -0.9 -0.5 1.3 0.3 1.1 3.3 -0.6 0.4 -0.1 -1.5 -0.3 1.3
2001 0.9 -0.9 0.1 1.1 1.3 -2.6 0 -0.7 0.8 2.3 -0.2 -0.6 1.4
2002 0.1 1.9 -0.2 1.4 0.5 1 -0.9 0.8 3 1.3 -0.6 -0.4 8
2003 2.6 -0.4 -0.3 -0.1 1.1 0.8 -1 0 1.8 0.2 -0.2 0.6 5.2
2004 -0.5 1.1 -0.4 0.2 0 -1 0 0 1 -0.2 1.3 -0.3 1.2
2005 0 0.8 -1 0.3 0.7 0.4 -0.5 -0.1 0.7 -0.6 0.7 -0.8 0.5
2006 0.3 0.4 -0.4 0 0.5 -0.5 -0.5 0.5 -0.3 -0.8 -0.3 -0.5 -1.5
2007 0.4 0 0.3 -0.4 0.5 0.1 1.5 0.3 -0.3 -2 0.1 -0.8 -0.4
2008 1 -1.9 1.2 1.8 0.6 -0.1 -0.2 -1 0.7 -0.6 -5.5 1 -3.1
2009 -3.1 -0.6 1.7 0.4 2 1.7 -0.2 -0.9 -0.9 -1.6 1.4 -1 -1.2
2010 0.8 0.7 0.6 -0.6 -0.2 0.2 0.3 1.8 0.2 -0.4 1.6 0 5
2011 0.7 -0.8 0.5 0.3 -1 0.8 -0.4 -0.4 -1 -1.7 -0.2 -0.5 -3.6
2012 0.7 -0.2 0.6 0.3 -1.8 1.9 -0.5 0 0.7 0.1 0.4 1.3 3.4
2013 0.8 0.3 -0.1 -0.1 -1.9 0.7 0.8 0.3 0.6 0.4 -0.2 0.1 1.9
2014 -0.5 0.7 -0.2 -0.1 0.8 0.2 0.8 0.1 -0.6 0.6 -0.7 -1.2 -0.1
2015 -1.8 0.4 0.1 0.9 0 1.3 0.2 -2.1 0 -1.1 0.8 -1.1 -2.4
2016 0.3 1 1.1 -0.2 1 -0.5 0.1 0 1 -0.4 -0.7 -0.5 2.3
2017 -0.8 0.5 -0.3 -0.4 0.8 0.2 -0.1 0.5 -0.1 0.3 0.2 0 0.9
2018 -0.4 -0.2 0.7 -0.9 0 -0.1 -0.8 0 -0.1 0.7 0.6 0.4 -0.1
2019 -0.3 -0.2 -0.3 -1.2 -1.4 0.6 -0.4 -0.1 -0.3 0 0 0.1 -3.5
2020 -1.1 -2 -1.7 -1.1 0.7 0.1 -0.1 0.1 0.6 -0.4 0.9 0.7 -3.3
2021 0.1 1 0.3 NA NA NA NA NA NA NA NA NA 1.5

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart